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Application of forecasting result in GARCH model

3 messages · tung110891, manulemalin

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tung110891
# 
Hello Everyone, 
Recently, I have been studying GARCH model and some its application in stock
market. I have used Rugarch package and receive final result of GARCH model.
For example:
*------------------------------------*
* GARCH Model Forecast    *
*------------------------------------*
Model: sGARCH
Horizon: 10
Roll Steps: 0
Out of Sample: 0

0-roll forecast: 
                    sigma    series
2009-02-02 0.02477 0.0016170
2009-02-03 0.02471 0.0014362
2009-02-04 0.02465 0.0012851
2009-02-05 0.02458 0.0011588
2009-02-06 0.02452 0.0010532
2009-02-09 0.02446 0.0009650
2009-02-10 0.02440 0.0008913
2009-02-11 0.02434 0.0008297
2009-02-12 0.02427 0.0007783
2009-02-13 0.02421 0.0007353
But, I do not know method to use these final results. 
Can someone teach me some methods to these results in stock market ? 
Many Thanks, 
Tung

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tung110891
# 
In introduction of some books related with GARCH model, authors usually
recommend lots of application of GARCH model, for instant, you can apply
GARCH model to diverse fields as risk management, portfolio management and
asset allocation, option price, foreign exchange. However, they do not teach
real method in order to use forecasting results of GARCH model in above
applications. 
I take a lot of difficulties to apply these forecasting results. Can someone
recommend me some books or materials related with above problems? 
Thank you very much for any answer you provide.


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manulemalin
# 
hi

if you can read some french
gourieroux c, scaillet o, sfararz a " econometrie de la finance, analyses
historiques' , economica, collection ' economie et statistiques avancees',
1997

mostly ( high level) econometrics, but with applications to the pbs you want
to solve ( capm, options, black scholes formula, smile effect...)


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